QPR-12349 always write out the union over keys available in all scenarios

Author: pcaspers

OREAnalytics/orea/app/reportwriter.cpp

@@ -2152,10 +2152,14 @@ void ReportWriter::writeHistoricalScenarioDistributions(
 
 void ReportWriter::writeHistoricalScenarios(const boost::shared_ptr<HistoricalScenarioLoader>& hsloader,
                                             const boost::shared_ptr<ore::data::Report>& report) {
-    ScenarioWriter sw(nullptr, report);
-    auto scenarios = hsloader->historicalScenarios();
+    // each scenario might have a different set of keys, so we collect the union of all keys
+    // and write them out (missing keys will be written as NA to the report)
+    std::set<RiskFactorKey> allKeys;
+    for (const auto& s : hsloader->historicalScenarios())
+        allKeys.insert(s->keys().begin(), s->keys().end());
+    ScenarioWriter sw(nullptr, report, std::vector<RiskFactorKey>(allKeys.begin(), allKeys.end()));
     bool writeHeader = true;
-    for (const auto& s : scenarios) {
+    for (const auto& s : hsloader->historicalScenarios()) {
         sw.writeScenario(s, writeHeader);
         writeHeader = false;
     }

OREAnalytics/orea/scenario/scenariowriter.cpp

@@ -25,18 +25,21 @@ namespace ore {
 namespace analytics {
 
 ScenarioWriter::ScenarioWriter(const boost::shared_ptr<ScenarioGenerator>& src, const std::string& filename,
-                               const char sep, const string& filemode)
-    : src_(src), fp_(nullptr), i_(0), sep_(sep) {
+                               const char sep, const string& filemode, const std::vector<RiskFactorKey>& headerKeys)
+    : src_(src), fp_(nullptr), i_(0), sep_(sep), headerKeys_(headerKeys) {
     open(filename, filemode);
 }
 
-ScenarioWriter::ScenarioWriter(const std::string& filename, const char sep, const string& filemode)
-    : fp_(nullptr), i_(0), sep_(sep) {
+ScenarioWriter::ScenarioWriter(const std::string& filename, const char sep, const string& filemode,
+                               const std::vector<RiskFactorKey>& headerKeys)
+    : fp_(nullptr), i_(0), sep_(sep), headerKeys_(headerKeys) {
     open(filename, filemode);
 }
 
-ScenarioWriter::ScenarioWriter(const boost::shared_ptr<ScenarioGenerator>& src, boost::shared_ptr<ore::data::Report> report)
-    : src_(src), report_(report), fp_(nullptr), i_(0), sep_(',') {}
+ScenarioWriter::ScenarioWriter(const boost::shared_ptr<ScenarioGenerator>& src,
+                               boost::shared_ptr<ore::data::Report> report,
+                               const std::vector<RiskFactorKey>& headerKeys)
+    : src_(src), report_(report), fp_(nullptr), i_(0), sep_(','), headerKeys_(headerKeys) {}
 
 void ScenarioWriter::open(const std::string& filename, const std::string& filemode) {
     fp_ = fopen(filename.c_str(), filemode.c_str());
@@ -96,6 +99,8 @@ void ScenarioWriter::writeScenario(const boost::shared_ptr<Scenario>& s, const b
     if (report_) {
         if (writeHeader) {
             QL_REQUIRE(keys_.size() > 0, "No keys in scenario");
+            if (headerKeys_.empty())
+                headerKeys_ = keys_;
             report_->addColumn("Date", string());
             report_->addColumn("Scenario", Size());
             report_->addColumn("Numeraire", double(), 8);
@@ -110,8 +115,12 @@ void ScenarioWriter::writeScenario(const boost::shared_ptr<Scenario>& s, const b
         report_->add(to_string(d));
         report_->add(i_);
         report_->add(s->getNumeraire());
-        for (auto k : keys_)
-            report_->add(s->get(k));
+        for (auto k : headerKeys_) {
+            if (s->has(k))
+                report_->add(s->get(k));
+            else
+                report_->add(Null<Real>());
+        }
     }
 }
 

OREAnalytics/orea/scenario/scenariowriter.hpp

@@ -35,13 +35,15 @@ class ScenarioWriter : public ScenarioGenerator {
 public:
     //! Constructor
     ScenarioWriter(const boost::shared_ptr<ScenarioGenerator>& src, const std::string& filename, const char sep = ',',
-                   const string& filemode = "w+");
+                   const string& filemode = "w+", const std::vector<RiskFactorKey>& headerKeys = {});
 
     //! Constructor to write single scenarios
-    ScenarioWriter(const std::string& filename, const char sep = ',', const string& filemode = "w+");
+    ScenarioWriter(const std::string& filename, const char sep = ',', const string& filemode = "w+",
+                   const std::vector<RiskFactorKey>& headerKeys = {});
 
     //! Constructor to write into an in-memory report for later io
-    ScenarioWriter(const boost::shared_ptr<ScenarioGenerator>& src, boost::shared_ptr<ore::data::Report> report);
+    ScenarioWriter(const boost::shared_ptr<ScenarioGenerator>& src, boost::shared_ptr<ore::data::Report> report,
+                   const std::vector<RiskFactorKey>& headerKeys = {});
 
     //! Destructor
     virtual ~ScenarioWriter();
@@ -68,6 +70,7 @@ class ScenarioWriter : public ScenarioGenerator {
     Date firstDate_;
     Size i_;
     const char sep_ = ',';
+    std::vector<RiskFactorKey> headerKeys_;
 };
 } // namespace analytics
 } // namespace ore